After scanning the exchange data from yesterday, nothing in the fixed income arena jumped off the pages as anything to be concerned about. This is assuming you are core short the treasury futures and following the current trend. Reports from the trading pits so far this morning are docile as well.
There was talk yesterday of some large hedge fund selling in the Mini – S&P contracts. That makes sense as traders in those markets are keeping an eye on the move up in interest rates. Many in the equity markets are expecting a sharp move lower. This is something to be aware of in terms of what treasuries are doing. A sharp equity sell-off could trigger some flight to safety buying, but so far not seeing much in terms of flows.
Chart below shows some more selling in the Dec. 117.5 calls after prices rallied on a weaker than expected consumer confidence data. Floor sources indicate it is for the same player that sold the calls yesterday. Note the vol. reading on the trade is about 10 basis points lower than where they traded yesterday.
There were some bullish trades in ED options yesterday and seeing some more of the same today. Analysts point out that spreads are at their widest levels in months. Meaning some bets for higher rates are being pushed further back on the yield curve, in the 1 to 4 year sector. Longer term rates will be dealing with supply as well as fed policy.
Some of the flows from this a.m. listed below.
House
B/S
Qty
Commodity
price
futures price
0
S
2,000
- TYH111p/+TYZ115p
0.26
11707.5/08
0
S
2,000
TYH110 - 118 strngl
0.45
11713 - 17.5
0
S
1,500
TYZ117.5c
0.59
11714.5/15
0
S
1,000
TYZ116.5 - 118pspread
.40 and .41
11713 - 16
0
B
1,000
FVZ115p
4.5
11520/20.5
House
B/S
Qty
Commodity
price
futures price
0
B
1,000
EOH9800 - 9837 cspred
0.18
N/A
same
S
1,000
E2H9700 - 9737cspred
0.12
N/A
0
B
2,000
EOH9875c
0.03
N/A
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